Technical University Munich Commodities as an Asset Class - risklab

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List of Figures 5.6 Factor Analysis (1991-2006) . . . . . . . . . . . . . . . . . . . . . . . 116 5.7 Performance of DJ-AIGCI Components . . . . . . . . . . . . . . . . . 118 5.8 Return Behavior of DJ-AIGCI Components . . . . . . . . . . . . . . 119 5.9 Performance of DJ-AIGCI Roll Returns . . . . . . . . . . . . . . . . . 121 5.10 Time the DJ-AIGCI spent in Contango or in Backwardation . . . . . 121 5.11 Distribution Change . . . . . . . . . . . . . . . . . . . . . . . . . . . 122 5.12 Histogram with Norm-Fit of DJ-AIGCI Return Components . . . . . 124 5.13 Kernel Distribution with Norm-Fit of DJ-AIGCI Return Components 131 5.14 Lagged Plot of DJ-AIGCI Return Components . . . . . . . . . . . . . 136 5.15 Autocorrelation and Partial Autocorrelation Function of DJ-AIGCI Return Components . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 6.1 Factor Analysis with other Asset Classes (1991-2006) . . . . . . . . . 143 6.2 Performance of different Asset Classes . . . . . . . . . . . . . . . . . 144 6.3 Efficient Frontiers with and without Commodities (1991-2006) . . . . 154 6.4 Comparison of Portfolio Allocation . . . . . . . . . . . . . . . . . . . 155 6.5 Efficient Frontier and the Hurdle Rate . . . . . . . . . . . . . . . . . 156 B.1 Dependence of Heating Oil Prices to Crude Oil Prices . . . . . . . . . 164 B.2 Heating Oil Prices for Future Delivery . . . . . . . . . . . . . . . . . 165 B.3 Dependence of Gasoline Prices on Crude Oil Prices . . . . . . . . . . 166 B.4 Gold Inventories and Prices . . . . . . . . . . . . . . . . . . . . . . . 168 B.5 Aluminium Inventories and Prices . . . . . . . . . . . . . . . . . . . . 169 B.6 Copper Inventories and Prices . . . . . . . . . . . . . . . . . . . . . . 171 B.7 Lead Inventories and Prices . . . . . . . . . . . . . . . . . . . . . . . 172 B.8 Nickel Inventories and Prices . . . . . . . . . . . . . . . . . . . . . . . 173 B.9 Zinc Inventories and Prices . . . . . . . . . . . . . . . . . . . . . . . . 175 B.10 Sugar Price, Stock of Inventory, Production and Consumption . . . . 176 B.11 Coffee Price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177 B.12 Coffee Price and Stock of Inventory . . . . . . . . . . . . . . . . . . . 178 B.13 Soybean Price, Stock of Inventory, Production and Consumption . . . 181 B.14 Lean Hogs Price, Stock of Inventory, Production and Consumption . 182 x
List of Tables 2.1 Oil Reserves and Production . . . . . . . . . . . . . . . . . . . . . . . 10 3.1 Equivalent Parameters . . . . . . . . . . . . . . . . . . . . . . . . . . 68 4.1 Comparison of Commodity Index Characteristics . . . . . . . . . . . 82 4.2 Commodity Index linked Mutual Funds . . . . . . . . . . . . . . . . . 85 4.3 Construction of a Futures Return Series for Crude Oil . . . . . . . . . 89 4.4 Spot, Future and Roll Return Time Series for Crude Oil . . . . . . . 91 4.5 Construction of a Futures Return Series for Copper . . . . . . . . . . 92 4.6 Spot, Future and Roll Return Time Series for Copper . . . . . . . . . 92 5.1 Return Components of different Commodity Indices (1998-2006) . . . 97 5.2 Volatility Components of different Commodity Indices (1998-2006) . . 101 5.3 Pearson Correlation (1998-2006) . . . . . . . . . . . . . . . . . . . . . 104 5.4 Kendall Correlation (1998-2006) . . . . . . . . . . . . . . . . . . . . . 106 5.5 Key Statistics of DJ-AIGCI Components . . . . . . . . . . . . . . . . 119 5.6 Key Statistics of DJ-AIGCI Roll Return . . . . . . . . . . . . . . . . 123 5.7 Distribution Statistics of DJ-AIGCI Return Components . . . . . . . 126 5.8 Significance Tests for Normality of DJ-AIGCI Total Return . . . . . . 130 5.9 Dickey Fuller Test for Stationarity . . . . . . . . . . . . . . . . . . . . 135 5.10 Significance Tests for Autocorrelation . . . . . . . . . . . . . . . . . . 138 6.1 Mean Variance Spanning Coefficients (1991-2006) . . . . . . . . . . . 142 6.2 Mean Variance Spanning Coefficients (2002-2006) . . . . . . . . . . . 142 6.3 Key Statistics of different Asset Classes’ Returns (1991-2006) . . . . . 145 6.4 Kendall/Pearson Correlation between Different Asset Classes and Inflation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146 6.5 Pearson Correlation between average Return and Volatility . . . . . . 147 xi
Page 1 and 2: Technical University Munich Departm
Page 3: Acknowledgements First and foremost
Page 6 and 7: Contents 4.1.1 Index Composition .
Page 9: List of Figures 2.1 Overview of the
Page 14 and 15: 1 Introduction point of view i.e. c
Page 16 and 17: 2 Overview of Commodity Markets Aft
Page 18 and 19: 2 Overview of Commodity Markets Fig
Page 20 and 21: 2 Overview of Commodity Markets tra
Page 24 and 25: 2 Overview of Commodity Markets The
Page 26 and 27: 2 Overview of Commodity Markets som
Page 28 and 29: 2 Overview of Commodity Markets is
Page 30 and 31: 2 Overview of Commodity Markets the
Page 36 and 37: 2 Overview of Commodity Markets wor
Page 42 and 43: 2 Overview of Commodity Markets The
Page 46 and 47: 2 Overview of Commodity Markets in
Page 48 and 49: 2 Overview of Commodity Markets Tal
Page 50 and 51: 2 Overview of Commodity Markets typ
Page 52 and 53: 2 Overview of Commodity Markets Inv
Page 54 and 55: 2 Overview of Commodity Markets Ove
Page 56 and 57: 3 Pricing of Commodity Futures Futu
Page 58 and 59: 3 Pricing of Commodity Futures thei
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3 Pricing of Commodity Futures Theo
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3 Pricing of Commodity Futures Figu
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3 Pricing of Commodity Futures comm
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3 Pricing of Commodity Futures Befo
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3 Pricing of Commodity Futures Clos
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3 Pricing of Commodity Futures pric
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3 Pricing of Commodity Futures Agai
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3 Pricing of Commodity Futures is g
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3 Pricing of Commodity Futures The
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3 Pricing of Commodity Futures Putt
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3 Pricing of Commodity Futures The
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3 Pricing of Commodity Futures Fina
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3 Pricing of Commodity Futures retu
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4 Commodity Indices 4.1 Characteris
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4 Commodity Indices generally publi
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4 Commodity Indices Figure 4.2: The
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4 Commodity Indices Figure 4.4: The
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4 Commodity Indices weights, its de
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4 Commodity Indices is the most liq
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4 Commodity Indices its investors
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4 Commodity Indices 4.4 Decompositi
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4 Commodity Indices Implicating, th
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4 Commodity Indices Copper (US doll
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5 Properties of Commodity Returns I
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5 Properties of Commodity Returns m
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5 Properties of Commodity Returns M
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5 Properties of Commodity Returns T
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5 Properties of Commodity Returns v
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5 Properties of Commodity Returns D
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5 Properties of Commodity Returns F
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5 Properties of Commodity Returns R
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5 Properties of Commodity Returns t
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5 Properties of Commodity Returns F
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5 Properties of Commodity Returns c
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5 Properties of Commodity Returns A
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5 Properties of Commodity Returns a
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5 Properties of Commodity Returns a
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6 Asset Allocation with Commodity D
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7 Conclusions The main focus of thi
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A Data Description Availability of
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A Data Description GSCI Spot Return
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B Characteristics of Selected Commo
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C Mathematical Preliminaries only s
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C Mathematical Preliminaries The ex
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C Mathematical Preliminaries Defini
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C Mathematical Preliminaries C.2 Pr
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C Mathematical Preliminaries 2. W h
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C Mathematical Preliminaries Then w
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C Mathematical Preliminaries Theore
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C Mathematical Preliminaries Defini
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D Program Codes [weights,value] = s
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D Program Codes warning off; % Refe
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D Program Codes muPFHurd=muPFHurd
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D Program Codes value = -value; fun
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References References [Aitken 1935]
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References (2000): Hedging Pressure
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References [Kaldor 1939] N. Kalsor
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References [Roche 1993] Roche, Juli
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References [Working 1948] H. Workin
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